Chinese Stock Screen Using Price Range, Float Size, and Turnover

Summary

The document presents a short-term Chinese equity screen combining prior-day price amplitude, a maximum tradable share count, and prior-day turnover within a specified band. Its rationale is that price movement may identify trading opportunities, smaller floats can bring greater risk and return potential, and moderate turnover may indicate market attention without extreme activity. The screen also describes ranking candidates by volume ratio and selecting a fraction of the eligible list.

The post cautions that the filters omit company fundamentals and longer-term value, and that turnover data may be delayed or calculated inconsistently. It suggests combining the screen with valuation and other technical measures, and reviewing turnover data quality. No backtest or performance evidence is provided, and the accompanying code examples do not establish that the stated selection rules are implemented consistently. The screen should therefore be understood as a proposed filter rather than a validated strategy.

Key ideas

• The screen combines prior-day amplitude, a float-size ceiling, and a bounded prior-day turnover rate.
• It proposes ranking qualifying stocks by volume ratio and selecting a subset of candidates.
• The post says the filters may capture active smaller-cap stocks but also carry elevated uncertainty.
• Fundamental data, additional technical measures, and reliable turnover calculations are suggested as improvements.
• The document provides no performance test validating the screen.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.